Lecture

Dynamic Portfolio Selection

Description

This lecture covers dynamic portfolio selection, focusing on utility functions for ranking random wealth levels, risk aversion, and the use of dynamic programming to find optimal investment policies. It also discusses log-utility in a binomial market and the optimization of investment policies over multiple periods.

Official source

https://mediaspace.epfl.ch/media/0_pt0xqmx5

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Ontological neighbourhood

Economics

Microeconomics: Financial economics

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